Review Session 8

EE178/278A

Nov 8th
Moment generating function
[B & T 4.1]: Let X be a random variable that takes values 1, 2, and 3
with the following probabilities:
1
P(X = 1) =
2
1
P(X = 2) =
4
1
P(X = 3) =
4
Find the moment generating function and use it to compute E X, E X 2
and E X 3 . Easy to find even without moment generation function
1 s 1 2s 1 3s
M (s) = e + e + e ,
2 4 4
1 1 0 3 0 7
E X = e0 + e + e =
2 2 4 4
1 1 0 9 0 15
E X 2 = e0 + e + e =
2 1 4 4
1 2 0 27 0 37
E X 3 = e0 + e + e = .
2 1 4 4
Moment generating function
[B & T 4.2]: Let X be a non-negative random variable which takes
integer values. It has one of the following two expressions as its
transform:
es 1
1. M (s) = e2(e 1)

es
2. M (s) = e2(e 1)

Explain why one of them cannot be the moment generating function and
use the true m.g.f to compute P(X = 0).
Since X is non-negative integer valued random variable,

P(X = 0) = lim M (s)

s

For the first function, this is given by e2(e 1) < 1. For the second, this
1

is equal to 1, which would imply that P(X = 0) = 1. This is not possible

since the m.g.f in that case would be just 1.
Moment generating function
X, Y and Z are bernoulli(1/3), exponential(2) and Poisson(3)
respectively; mutually independent
1. Find transform associated with U = XY + (1 X)Z.
Use iterated expectation

E(esU ) = EX E(esU |X)

1 2
= E(esY ) + E(esZ )
3 3

2. Transform associated with 2Z + 3

E(es(2Z+3) ) = e3s E(e2sZ )

= e3s E(es Z )

Now use transform associated with E(esZ )

Moment generating function
X, Y and Z are bernoulli(1/3), exponential(2) and Poisson(3)
respectively; mutually independent
Find transform associated with Y + Z
Use independence.

E(es(Y +Z) ) = E(esY ) E(esZ )

Sums of random variables
[B & T 4.18] Xi i.i.d. distributed according to UP
[0, 1] and Y
Poisson(). Find the transform associated with Yi=1 Xi .
Use iterated expectation

PY XY
E(es i=1 Xi
) = EY E( Xi |Y )
i=1
= EY (E(esX )Y )
es 1 Y
= EY ( )
s
s
This is Poisson with a different . That is, = e s1
Can use M.G.F. to find the expected value. But what is an easier
way?
Sums of random variable
A motorist goes through four red lights. Each one of the lights goes red
with probability 1/2. If the light is red, the motorists waiting time is
distributed according to a Gaussian distribution with mean 1 and variance
1/2. Let X be the total waiting time.
Find the cdf of X
Use the fact that sum of independent N (1 , 12 ) and N (2 , 22 ) is
still Gaussian with mean 1 + 2 and variance 12 + 22 . Denote the
cdf of a Gaussian by FG (, 2 ).

1 1 1 1
F (X) = 1X0 + 4 4 FG (1, 1/2) + 6 4 FG (2, 1) + 4 4 FG (3, 3/2)
24 2 2 2
1
+ 4 FG (4, 2)
2
where 1A = 1 if event A occurs and 0 otherwise.
Sums of random variable
A motorist goes through four red lights. Each one of the lights goes red
with probability 1/2. If the light is red, the motorists waiting time is
distributed according to a Gaussian distribution with mean 1 and variance
1/2. Let X be the total waiting time.
Find the transform of X
Let Y be Binomial (4, 1/2) and Zi N (1, 1/2) i.i.d. . Then,
transform associated with X can be computed using iterated
expectation as
4  
1 X 4 (s+ 1 1 s2 )i
EY E(esZ )Y = e 22
24 i=0 i